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  1. Global financial crisis and the puzzling exchange rate path in CEE countries
    Author: Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš
    Published: 2010
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    In the present paper we examine whether financial markets could have helped predict exchange rates in three selected Central and Eastern European (CEE) economies of the EU, namely the Czech Republic, Hungary and Poland, during the current financial... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    In the present paper we examine whether financial markets could have helped predict exchange rates in three selected Central and Eastern European (CEE) economies of the EU, namely the Czech Republic, Hungary and Poland, during the current financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate market expectations about exchange rate developments. Based on these risk-neutral density estimates, we then assess the out-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk in terms of the forecasting error, confirming a stylized fact about the short-term forecasting of exchange rates. Yet, we also find that, for the Czech Republic and Poland, risk-neutral densities contain useful information on the direction of change of the exchange rate. -- Options ; implied volatility ; risk-neutral density ; exchange rate forecasting ; Bayesian model averaging ; subprime crisis ; emerging markets

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83310
    Series: IES working paper ; 24/2010
    Subjects: Devisenoption; Volatilität; Wechselkurs; Prognose; Finanzkrise; Tschechien; Ungarn (Personen); Polen
    Scope: Online-Ressource (PDF-Datei: 19 S., 396,76 KB), graph. Darst.
  2. Credit growth and financial stability in the Czech Republic
    Author: Frait, Jan; Geršl, Adam; Seidler, Jakub
    Published: 2011
    Publisher:  World Bank, Europe and Central Asia Region, Office of the Chief Economist, Washington, DC

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 2 (5771)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Policy research working paper ; 5771
    Subjects: Finanzsektor; Kredit; Kreditrisiko; Kapitalmarktrecht; Tschechien
    Scope: Online-Ressource (PDF-Datei: 28 S., 2,1 MB), graph. Darst.
  3. Models for stress testing Czech Banks' liquidity risk
    Author: Komárková, Zlatuše; Geršl, Adam; Komárek, Luboš
    Published: 2011

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Czech National Bank ; 11/2011
    Subjects: Bankenliquidität; Risiko; Schock; Bankrechnungslegung; Tschechien; Stress testing
    Scope: Online-Ressource (40 S.), graph. Darst.
  4. Fiscal consolidation under market's scrutiny
    how do fiscal announcements affect bond yields
    Author: Švéda, Josef; Baxa, Jaromír; Geršl, Adam
    Published: [2022]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    We estimate the short-run reactions of bond spreads of selected EU member states vis-à-vis the German bund on fiscal announcements from January 2000 till December 2019. To avoid selection bias, the announcements are scrapped from the Factiva... more

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    We estimate the short-run reactions of bond spreads of selected EU member states vis-à-vis the German bund on fiscal announcements from January 2000 till December 2019. To avoid selection bias, the announcements are scrapped from the Factiva database, and then, depending on their tone, they are classified as hawkish or dovish. We show that announcements of fiscal consolidation decrease the spreads-however, the full-sample result masks substantial time and country variation. The impact of fiscal consolidation is statistically significant, namely in the post-crisis period since the Draghi's "whatever it takes" speech, but not before the Great Recession or during the European Debt Crisis.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/265197
    Series: IES working paper ; 2022, 11
    Subjects: fiscal announcements; bond spreads; EU debt crisis; fiscal consolidation
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  5. Does monetary policy reinforce the effects of macroprudential policy
    Author: Geršl, Adam; Livorová, Barbara
    Published: [2023]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    This paper contributes to studying the interaction between monetary and macroprudential policies by examining whether the impact of macroprudential policy on credit and house price growth differs between the two key phases of monetary policy cycle,... more

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    This paper contributes to studying the interaction between monetary and macroprudential policies by examining whether the impact of macroprudential policy on credit and house price growth differs between the two key phases of monetary policy cycle, i.e. monetary policy tightening and loosening. The dataset covers 33 advanced and 33 emerging market countries in the period 1990 - 2019 in quarterly frequency. Using the GMM estimation method, the results show that tightening of monetary policy does on average reinforce the effects of macroprudential policy on credit and house prices. Furthermore, we show that this reinforcing effect works for some but not all types of macroprudential policy measures, and that the results differ between advanced countries and emerging markets.

     
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    Other identifier:
    hdl: 10419/286344
    Series: IES working paper ; 2023, 15
    Subjects: Macroprudential Policy; Monetary Policy Cycle; Credit Growth; House Price Growth; Interaction of Policies
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  6. Foreign direct investment and productivity spillovers: updated evidence from Central and Eastern Europe
    Author: Geršl, Adam; Rubene, Ieva; Zumer, Tina
    Published: 2007

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / Czech National Bank ; 2007.8
    Subjects: Auslandsinvestition; Produktivität; Spillover-Effekt; Osteuropa
    Scope: 30 S., graph. Darst,
  7. Ekonomické myšlení Václava Klause do roku 1990
    Author: Geršl, Adam
    Published: 2006
    Publisher:  Univ. Karlova, Nakl. Karolinum, Praha

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    Source: Staatsbibliothek zu Berlin
    Language: Czech
    Media type: Book
    Format: Print
    ISBN: 8024611376
    Other identifier:
    9788024611372
    Edition: Vyd. 1
    Subjects: Ökonomische Ideengeschichte; Tschechien
    Other subjects: Klaus, Václav (1941-)
    Scope: 116 S.
    Notes:

    Literaturverz. S. 109 - 116
  8. Ekonomické myšlení Václava Klause do roku 1990
    Author: Geršl, Adam
    Published: 2006
    Publisher:  Univ. Karlova, Nakl. Karolinum, Praha

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    3 A 134069
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    Technische Universität Chemnitz, Universitätsbibliothek
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    Source: Staatsbibliothek zu Berlin
    Language: Czech
    Media type: Book
    Format: Print
    ISBN: 8024611376
    Other identifier:
    9788024611372
    Edition: Vyd. 1
    Subjects: Ökonomische Ideengeschichte; Tschechien
    Other subjects: Klaus, Václav (1941-)
    Scope: 116 S.
    Notes:

    Literaturverz. S. 109 - 116
  9. Foreign direct investment and productivity spillovers: updated evidence from Central and Eastern Europe
    Author: Geršl, Adam; Rubene, Ieva; Zumer, Tina
    Published: 2007

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    3 B 13424
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1505 (2007.8)
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / Czech National Bank ; 2007.8
    Subjects: Auslandsinvestition; Produktivität; Spillover-Effekt; Osteuropa
    Scope: 30 S., graph. Darst,
  10. Conservative stress testing
    the role of regular verification
    Author: Geršl, Adam; Seidler, Jakub
    Published: 2010

    This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank’s stress testing methodology, the paper argues that stress tests... more

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    This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank’s stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly overestimate the risks. However, to ensure that the stress test framework is conservative enough over time, a verification, i.e. comparison of the actual values of key banking sector variables - in particular the capital adequacy ratio - with predictions generated by the stress-testing models should become a standard part of the stress-testing framework. -- Stress testing ; credit risk ; bank capital

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83382
    Series: IES working paper ; 12/2010
    Subjects: Bank; Kreditrisiko; Basler Akkord; Tschechien
    Scope: Online-Ressource (18 S.), graph. Darst.
  11. Adverse feedback loop in the bank-based financial systems
    Author: Geršl, Adam; Jakubík, Petr
    Published: 2010

    This paper examines procyclicality of the financial system. The introduction describes the natural and regulatory sources of procyclicality, focusing on the potential procyclical effect of the current Basel II regulatory framework for banks. It also... more

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    This paper examines procyclicality of the financial system. The introduction describes the natural and regulatory sources of procyclicality, focusing on the potential procyclical effect of the current Basel II regulatory framework for banks. It also mentions the regulatory tools for mitigating procyclical behaviour by financial institutions currently being discussed in international forums. Under certain conditions, procyclical behaviour of the banking sector can lead to an adverse feedback loop whereby banks, in response to an economic downswing, engage in deleveraging and reduce their lending to the economy in order to maintain the required capital adequacy ratio. This then further negatively affects economic output and impacts back on banks in the form of, for example, increased loan losses. In the main empirical section of the paper, this effect was simulated on the example of the Czech banking sector. The simulation results suggest that under certain assumptions the feedback loop may play an important role. -- Procyclicality ; feedback loop ; bank regulation ; deleveraging

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83357
    Series: IES working paper ; 14/2010
    Subjects: Finanzsektor; Konjunktur; Bankenregulierung; Basler Akkord; Tschechien
    Scope: Online-Ressource (18 S.), graph. Darst.
  12. Economic volatility and institutional reforms in macroeconomic policymaking
    the case of fiscal policy
    Author: Geršl, Adam; Zápal, Jan
    Published: 2010

    We evaluate proposals for independent fiscal authority put forward as a solution to excessive public spending. Our main conclusion is that moving the responsibility to set broad measures of fiscal policy from the hands of government to an independent... more

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    We evaluate proposals for independent fiscal authority put forward as a solution to excessive public spending. Our main conclusion is that moving the responsibility to set broad measures of fiscal policy from the hands of government to an independent fiscal council is not necessarily welfare improving. We show that the change is welfare improving if nature of uncertainty between fiscal and monetary policymakers does not change as a result. However, if this institutional change involves considerable decrease of capacity of the new agency to recognize economic shocks, citizens' welfare can decrease as a results. This is especially significant in times of increased economic volatility such as in a recent global financial crisis. Faced with the ambiguous theoretical result, we try to gain deeper insight by calibrating our simple model. -- Dynamic inconsistency ; fiscal and monetary policy interaction ; independent fiscal council

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/83440
    Series: IES working paper ; 15/2010
    Subjects: Finanzverfassung; Institutioneller Wandel; Finanzpolitik; Haushaltskonsolidierung; Finanzkrise
    Scope: Online-Ressource (29 S.), graph. Darst.
  13. Relationship lending, firms' behaviour and credit risk
    evidence from the Czech Republic
    Author: Geršl, Adam; Jakubík, Petr
    Published: 2010

    This paper presents the results of an analysis of data on individual bank loans of non-financial corporations in the Czech Republic taken from the CNB's Central Credit Register. It focuses on the question of how firms obtain financing from domestic... more

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    This paper presents the results of an analysis of data on individual bank loans of non-financial corporations in the Czech Republic taken from the CNB's Central Credit Register. It focuses on the question of how firms obtain financing from domestic banks. The results show that the vast majority of non-financial corporations use the services of just one relationship lender. Small and young firms in technology- and knowledge-intensive industries tend to concentrate their credit needs in a single bank, whereas less creditworthy firms and firms in cyclical industries tend to borrow from more than one bank. The analysis also reveals different behaviour of firms towards financing banks in case of multiple lenders. Finally, the paper shows that the level of credit risk at bank level decreases in line with the extent to which firms applying single relationship lending occur in the bank's portfolio. -- Relationship banking ; credit risk

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/83389
    Series: IES working paper ; 22/2010
    Subjects: Bankgeschäft; Kreditgeschäft; Hausbank; Kreditrisiko; Tschechien
    Scope: Online-Ressource (20 S.), graph. Darst.
  14. Credit growth and countercyclical capital buffers
    empirical evidence from Central and Eastern European countries
    Author: Geršl, Adam; Seidler, Jakub
    Published: 2012
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the... more

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    Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the "countercyclical capital buffer", a macroprudential tool proposed in the new regulatory framework of Basel III by the Basel Committee on Banking Supervision. An empirical analysis of selected Central and Eastern European countries, including the Czech Republic, provides alternative estimates of excessive private credit and shows that the HP filter calculation proposed by the Basel Committee is not necessarily a suitable indicator of excessive credit growth for converging countries. -- Basel regulation ; credit growth ; financial crisis countercyclical buffer

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83369
    Series: IES working paper ; 3/2012
    Subjects: Kredit; Basler Akkord; Osteuropa
    Scope: Online-Ressource (PDF-Datei: [22] S., 256,72 KB), graph. Darst.
  15. Political legislation cycle in the Czech Republic
    Author: Brechler, Josef; Geršl, Adam
    Published: 2011
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    There is a wide range of theories that try to explain interactions between politics end economy that are referred as political cycles. Majority of these theories aims at analysis of changes in economic outcomes that are related to elections or other... more

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    There is a wide range of theories that try to explain interactions between politics end economy that are referred as political cycles. Majority of these theories aims at analysis of changes in economic outcomes that are related to elections or other phenomena in the political reality. To induce at least some of these changes it is necessary to alter a country's legislation which leads to emergence of political legislation cycles - changes in legislation activity over time in an electoral term. The aim of this paper is to study political legislation cycle in the legislative system of the Czech Republic. Obtained results suggest that elections timing has an impact on legislation activity. As electoral term matures and upcoming elections are getting closer an increase is observed in the legislation activity. -- political business cycle ; economic theory of legislation ; voters

     
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    Source: Union catalogues
    Language: English
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    Other identifier:
    hdl: 10419/83359
    Series: IES working paper ; 21/2011
    Subjects: Politischer Konjunkturzyklus; Gesetzgebung; Wirtschaftstheorie; Wahl; Tschechien
    Scope: Online-Ressource (PDF-Datei: 19 S., 437,63 KB), graph. Darst.
  16. Political pressure on the National Bank of Slovakia
    Author: Kukuk, Peter; Geršl, Adam
    Published: 2011
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    This paper analyzes political pressure on the National Bank of Slovakia, using the Havrilesky (1993) methodology based on media signalling. This methodology allows the pressure on the Central Bank of Slovakia to be compared with the pressure on the... more

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    This paper analyzes political pressure on the National Bank of Slovakia, using the Havrilesky (1993) methodology based on media signalling. This methodology allows the pressure on the Central Bank of Slovakia to be compared with the pressure on the central banks to which the methodology was already applied, namely - the U.S. Federal Reserve, the Deutsche Bundesbank and the Czech National Bank. The analysis and the comparison reveals a relatively weak signalling of pressure in media in Slovakia and prevailance of financial sector representatives as the main commentaries on monetary policy of the National Bank of Slovakia in the period before euro adoption. -- political economy ; central banks ; monetary policy

     
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    Source: Union catalogues
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    Other identifier:
    hdl: 10419/83378
    Series: IES working paper ; 29/2011
    Subjects: Zentralbankunabhängigkeit; Geldpolitik; Vergleich; Slowakei; Deutschland; Tschechien
    Scope: Online-Ressource (PDF-Datei: 29 S., 588,76 KB), graph. Darst.
  17. Measures to tame credit growth
    are they effective?
    Author: Geršl, Adam; Jašová, Martina
    Published: 2012
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    This paper focuses on policy measures taken to curb the private sector credit growth in the period 2003-2008. Our analysis is based on an original survey performed on eleven central banks in Central and Eastern Europe (CEE). The findings reveal high... more

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    This paper focuses on policy measures taken to curb the private sector credit growth in the period 2003-2008. Our analysis is based on an original survey performed on eleven central banks in Central and Eastern Europe (CEE). The findings reveal high intensity of policy intervention: altogether 82 measures were taken in CEE in the period. This paper combines direct assessment of particular central authorities and a difference-in-differences method to find out whether the measures applied were effective in slowing down the credit growth. Deriving from country experiences, the paper argues that in order to eliminate adverse impacts, policy measures should include combination of monetary and prudential tools with special emphasis on domestic environment and role of foreign banks in the CEE region. -- Credit growth ; monetary policy ; macroprudential policy ; Central and Eastern Europe

     
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    Source: Union catalogues
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    Media type: Book
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    Other identifier:
    hdl: 10419/83406
    Series: IES working paper ; 28/2012
    Subjects: Kredit; Geldpolitik; Finanzmarktaufsicht; Wirtschaftspolitik; Wirkungsanalyse; Osteuropa
    Scope: Online-Ressource (PDF-Datei: 24 S., 505,95 KB), graph. Darst.
  18. Relationship lending in the Czech Republic
    Author: Geršl, Adam; Jakubík, Petr
    Published: 2010

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Czech National Bank ; 1/2010
    Subjects: Kreditgeschäft; Hausbank; Kreditrisiko; Tschechien
    Scope: Online-Ressource (36 S.), graph. Darst.
  19. Explaining the Czech Interbank market risk premium
    Author: Geršl, Adam; Lešanovská, Jitka
    Published: 2013
    Publisher:  Czech National Bank, Praha

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    Source: Union catalogues
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    Series: Working paper series / Czech National Bank ; 1/2013
    Subjects: Interbankenmarkt; Risikoprämie; Marktliquidität; Risiko; Zeitreihenanalyse; Tschechien
    Scope: Online-Ressource (42 S.), graph. Darst.
  20. Monetary policy, macro-financial vulnerabilities, and macroeconomic outcomes
    Author: Papavangjeli, Meri; Geršl, Adam
    Published: [2024]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Given the prevailing global circumstances, characterized by tightening global financial conditions and substantial macro-financial vulnerabilities, the significance of monitoring financial conditions becomes even more pronounced and calls for... more

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    Given the prevailing global circumstances, characterized by tightening global financial conditions and substantial macro-financial vulnerabilities, the significance of monitoring financial conditions becomes even more pronounced and calls for heightened attention to the assessment and surveillance of financial indicators. This paper introduces a Financial Conditions Index (FCI) tailored for Albania, spanning from 2000 to 2022, using a factor augmented vector autoregressive models with time-varying coefficients (TVP-FAVAR) and incorporating a wide range of indicators, grounded in the empirical literature. By aligning with the main financial dynamics during this timeframe, the constructed index emerges as a robust gauge for monitoring and assessing the financial landscape of the country. Additionally, through a threshold Bayesian VAR model, the paper examines the transmission of monetary policy and financial conditions shocks to the real economy, by capturing non-linear dynamics through differentiating between periods characterized by different stands of financial fragilities. The findings suggest that the credit-to-GDP gap could potentially function as an early warning indicator of financial vulnerabilities, with a positive gap possibly reflecting excessive risk-taking by financial institutions. Furthermore, the transmission of monetary policy and financial conditions shocks to the real economy depends non-linearly on the private nonfinancial sector credit and is not symmetric throughout the considered period, with monetary policy transmission being attenuated during periods of heightened vulnerabilities.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: IES working paper ; 2024, 20
    Subjects: financial conditions; monetary policy; credit gap stance; macro-financial vulnerabilities
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen